The Use And Abuse Of Cds Spreads During Distress
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The Use And Abuse Of Cds Spreads During Distress
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Author : Carolyne Spackman
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2009-03-01
The Use And Abuse Of Cds Spreads During Distress written by Carolyne Spackman and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-03-01 with categories.
Credit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted from CDS spreads, but during distress it is important to take account of the stochastic nature of recovery value. The recent episodes of Landbanski, WAMU and Lehman illustrate that using the industry-standard fixed recovery rate assumption gives default probabilities that are low relative to those extracted from stochastic recovery value as proxied by the cheapest-to-deliver bonds. Financial institutions using fixed rate recovery assumptions could have a false sense of security, and could be faced with outsized losses with potential knock-on effects for other institutions. To ensure effective oversight of financial institutions, and to monitor the stability of the global financial system especially during distress, the stochastic nature of recovery rates needs to be incorporated.
Imf Working Papers
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Author : Carolyne Spackman
language : en
Publisher:
Release Date : 2009
Imf Working Papers written by Carolyne Spackman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Electronic books categories.
Cds Spreads In European Periphery
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Author : Mr.Mohsan Bilal
language : en
Publisher: International Monetary Fund
Release Date : 2012-03-01
Cds Spreads In European Periphery written by Mr.Mohsan Bilal and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-01 with Business & Economics categories.
This paper looks at some technical issues when using CDS data, and if these are incorporated, the analysis or regression results are likely to benefit. The paper endorses the use of stochastic recovery in CDS models when estimating probability of default (PD) and suggests that stochastic recovery may be a better harbinger of distress signals than fixed recovery. Similarly, PDs derived from CDS data are risk-neutral and may need to be adjusted when extrapolating to real world balance sheet and empirical data (e.g. estimating banks losses, etc). Another technical issue pertains to regressions trying to explain CDS spreads of sovereigns in peripheral Europe - the model specification should be cognizant of the under-collateralization aspects in the overall OTC derivatives market. One of the biggest drivers of CDS spreads in the region has been the CVA teams of the large banks that hedge their exposure stemming from derivative receivables due to non-posting of collateral by many sovereigns (and related entities).
Bond Markets Analysis And Strategies Tenth Edition
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Author : Frank J. Fabozzi
language : en
Publisher: MIT Press
Release Date : 2021-12-07
Bond Markets Analysis And Strategies Tenth Edition written by Frank J. Fabozzi and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-12-07 with Business & Economics categories.
The updated edition of a widely used textbook that covers fundamental features of bonds, analytical techniques, and portfolio strategy. This new edition of a widely used textbook covers types of bonds and their key features, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a client’s objectives. It includes real-world examples and practical applications of principles as provided by third-party commercial vendors. This tenth edition has been substantially updated, with two new chapters covering the theory and history of interest rates and the issues associated with bond trading. Although all chapters have been updated, particularly those covering structured products, the chapters on international bonds and managing a corporate bond portfolio have been completely revised. The book covers the basic analytical framework necessary to understand the pricing of bonds and their investment characteristics; sectors of the debt market, including Treasury securities, corporate bonds, municipal bonds, and structured products (residential and commercial mortgage-backed securities and asset-backed securities); collective investment vehicles; methodologies for valuing bonds and derivatives; corporate bond credit risk; portfolio management, including the fundamental and quantitative approaches; and instruments that can be used to control portfolio risk.
Ending Government Bailouts As We Know Them
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Author : Kenneth E. Scott
language : en
Publisher: Hoover Press
Release Date : 2013-09-01
Ending Government Bailouts As We Know Them written by Kenneth E. Scott and has been published by Hoover Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-01 with Business & Economics categories.
This book examines the dangers of continuing government bailouts and offers alternative strategies designed to produce growth based on the vigor of the private sector with inflation under control. The expert authors show that it is indeed possible to explain the causes of the crisis in understandable terms and clarify why resolving the bailout problem is essential to preventing future crises.
Sovereign Debt
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Author : Mauro Megliani
language : en
Publisher: Springer
Release Date : 2014-11-21
Sovereign Debt written by Mauro Megliani and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-21 with Law categories.
This book provides a thorough legal analysis of sovereign indebtedness, examining four typologies of sovereign debt – bilateral debt, multilateral debt, syndicated debt and bonded debt – in relation to three crucial contexts: genesis, restructuring and litigation. Its treatise-style approach makes it possible to capture in a systematic manner a phenomenon characterized by high complexity and unclear boundaries. Though the analysis is mainly conducted on the basis of international law, the breadth of this topical subject has made it necessary to include other sources, such as private international law, domestic law and financial practice; moreover, references are made to international financial relations and international financial history so as to provide a more complete understanding. Although it follows the structure of a continental tractatus, the work strikes a balance between consideration of doctrinal and jurisprudential sources, making it a valuable reference work for scholars and practitioners alike.
Price Of Risk
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Author : Karim Youssef
language : en
Publisher: International Monetary Fund
Release Date : 2010-08-01
Price Of Risk written by Karim Youssef and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-08-01 with Business & Economics categories.
Probability of default (PD) measures have been widely used in estimating potential losses of, and contagion among, large financial institutions. In a period of financial stress however, the existing methods to compute PDs and generate loss estimates that may vary significantly. This paper discusses three issues that should be taken into account in using PD-based methodologies for loss or contagion analyses: (i) the use of - risk-neutral probabilities - vs. -real-world probabilities; - (ii) the divergence between movements in credit and equity markets during periods of financial stress; and (iii) the assumption of stochastic vs. fixed recovery for financial institutions’ assets. All three elements have nontrivial implications for providing an accurate estimate of default probabilities and associated losses as inputs for setting policies related to large banks in distress.
Handbook Of Key Global Financial Markets Institutions And Infrastructure
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Author :
language : en
Publisher: Academic Press
Release Date : 2012-12-17
Handbook Of Key Global Financial Markets Institutions And Infrastructure written by and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-17 with Business & Economics categories.
Understanding twenty-first century global financial integration requires a two-part background. The Handbook of Key Global Financial Markets, Institutions, and Infrastructure begins its description of how we created a financially-intergrated world by first examining the history of financial globalization, from Roman practices and Ottoman finance to Chinese standards, the beginnings of corporate practices, and the advent of efforts to safeguard financial stability. It then describes the architecture itself by analyzing its parts, such as markets, institutions, and infrastructure. The contributions of sovereign funds, auditing regulation, loan markets, property rights, compensation practices, Islamic finance, and others to the global architecture are closely examined. For those seeking substantial, authoritative descriptions and summaries, this volume will replace books, journals, and other information sources with a single, easy-to-use reference work. Substantial articles by top scholars sets this volume apart from other information sources Diverse international perspectives result in new opportunities for analysis and research Rapidly developing subjects will interest readers well into the future
Counterparty Risk Impact On Collateral Flows And Role For Central Counterparties
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Author : James Aitken
language : en
Publisher: International Monetary Fund
Release Date : 2009-08
Counterparty Risk Impact On Collateral Flows And Role For Central Counterparties written by James Aitken and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-08 with Business & Economics categories.
Exporters of exhaustible resources have historically exhibited higher income volatility than other economies, suggesting a heightened role for precautionary savings. This paper uses a parameterized small open economy model to quantify the role of precautionary savings in economies with exhaustible resources, when the only source of uncertainty is the price of the exhaustible resource. Results show that the precautionary motive can generate sizable external sector savings. When aggregated over the sample countries, precautionary savings in 2006 add up to 3.2 percent of GDP. The quantitative importance of the precautionary motive varies considerably across the sample countries and is driven primarily by the weight of exhaustible resource revenues in future income. The parameterized model fares well at capturing current account balances in both cross-section and time-series data.
Research Handbook On State Aid In The Banking Sector
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Author : François-Charles Laprévote
language : en
Publisher: Edward Elgar Publishing
Release Date : 2017-11-24
Research Handbook On State Aid In The Banking Sector written by François-Charles Laprévote and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-24 with categories.
The Research Handbook on State Aid in the Banking Sector brings together experts in state aid and in financial regulation, drawn from legal academia, legal practice, economics, and from the EU and EEA institutions to shed light on this relationship. The editors and expert contributors do this by elucidating key concepts that underpin the application of state aid law to banks, and by considering specific aspects of the interface between state aid and financial regulation. The Handbook's analysis is complemented by a number of key country-based case studies, and by a concluding section which takes stock of the Banking Union’s package of legislative/regulatory reforms and reflects on the possible future role of state aid in this sector.